Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0875 |
| Annualized Std Dev | 0.3065 |
| Annualized Sharpe (Rf=0%) | 0.2856 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3488.0000 |
| NAs | 1.0000 |
| Minimum | -0.1421 |
| Quartile 1 | -0.0084 |
| Median | 0.0011 |
| Arithmetic Mean | 0.0005 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0099 |
| Maximum | 0.2026 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0012 |
| Variance | 0.0004 |
| Stdev | 0.0193 |
| Skewness | 0.1241 |
| Kurtosis | 8.6940 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0138 |
| Gain Deviation | 0.0138 |
| Loss Deviation | 0.0145 |
| Downside Deviation (MAR=210%) | 0.0181 |
| Downside Deviation (Rf=0%) | 0.0135 |
| Downside Deviation (0%) | 0.0135 |
| Maximum Drawdown | 0.7268 |
| Historical VaR (95%) | -0.0292 |
| Historical ES (95%) | -0.0455 |
| Modified VaR (95%) | -0.0272 |
| Modified ES (95%) | -0.0335 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-11-01 | 2008-11-20 | 2014-03-06 | -0.7268 | 1596 | 267 | 1329 |
| 2018-01-29 | 2020-03-23 | 2020-07-08 | -0.3531 | 615 | 541 | 74 |
| 2015-04-28 | 2016-02-11 | 2017-04-25 | -0.3006 | 503 | 201 | 302 |
| 2007-07-16 | 2007-08-16 | 2007-09-18 | -0.1865 | 46 | 24 | 22 |
| 2014-03-07 | 2014-05-08 | 2014-08-18 | -0.1551 | 114 | 44 | 70 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | NA | NA | NA | 0.9 | -0.6 | -1.5 | 3.5 | 2.7 | -3.5 | 1.3 | -0.9 | 1.7 |
| 2008 | 7.3 | -3.5 | 5.7 | 1.6 | 2.2 | -2.1 | 0.2 | 0 | 0.1 | 1.1 | -8.9 | 1.3 | 4.1 |
| 2009 | -0.7 | -2.2 | 2.7 | 2.4 | 5.2 | 1.5 | 0.3 | -2.5 | -3.4 | -4.1 | 2.5 | -0.2 | 1.1 |
| 2010 | 1.9 | 1.6 | 1.5 | -1 | -2.3 | -0.2 | 0.7 | 3 | 1.1 | 0.5 | 1.9 | -0.1 | 8.8 |
| 2011 | 2.4 | -0.2 | 1.2 | 0.6 | -1.6 | 1.9 | 0.3 | -1.3 | -3.8 | -3 | 0.6 | 0.4 | -2.7 |
| 2012 | 2 | 1 | 1.4 | 0.8 | -2.8 | 3.9 | 0.1 | 0.1 | 0.4 | 2.2 | -0.1 | 1.6 | 10.9 |
| 2013 | 1.1 | 0 | -1.3 | -0.7 | -1.5 | 0.4 | 2 | -0.5 | 2 | 0.2 | 0.9 | 0.5 | 3.1 |
| 2014 | -0.9 | -0.8 | 2.6 | 1.2 | -0.9 | 1.7 | -0.3 | -0.2 | -1.7 | 2.6 | -2.9 | -0.2 | 0 |
| 2015 | -2.1 | -0.2 | 0.3 | 0.6 | 1 | -0.5 | 0.3 | -2.6 | 0 | 1 | 0.8 | 0.1 | -1.3 |
| 2016 | -1.8 | 3.9 | -0.4 | -0.7 | -0.5 | 0.3 | 0.6 | 0.9 | 0.2 | -1 | -2.4 | -0.2 | -1.2 |
| 2017 | 0.6 | 1.4 | -0.1 | 0.6 | 1 | 0.5 | 0.2 | 1.2 | 0.8 | 0.5 | -1.4 | 0.1 | 5.5 |
| 2018 | -1.3 | -1.5 | 1.5 | 0.1 | 1.4 | 0.4 | -0.5 | 0.8 | -0.1 | 3.8 | 1.3 | -0.5 | 5.4 |
| 2019 | -1 | 0.7 | 2.1 | 0.1 | -0.9 | 1.6 | -2.4 | 0.5 | -1.2 | 1.4 | -1 | 0 | -0.2 |
| 2020 | -2 | -1.3 | -3.4 | -4.6 | 1.4 | 0.6 | 0.7 | 2.2 | 1.2 | -1.5 | 0.4 | -0.4 | -6.7 |
| 2021 | 4.6 | 3.9 | 1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 9.7 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-05-11 20.4 SPY 151. 8.60e-3 -0.0004 0.0429 0.0481 0.138 0.386 0.400 GLD 66.4 0.0068 -0.0255
2 2007-05-14 20.4 SPY 151. -2.20e-3 -0.0028 0.0359 0.0494 0.150 0.372 0.424 GLD 66.3 -0.0026 -0.0289
3 2007-05-15 20.3 SPY 151. 3.00e-4 -0.00120 0.0264 0.0409 0.165 0.363 0.396 GLD 66.5 0.0039 -0.0197
4 2007-05-16 20.7 SPY 152. 6.80e-3 0.00290 0.0307 0.0411 0.171 0.378 0.375 GLD 65.6 -0.0141 -0.0274
5 2007-05-17 20.7 SPY 151. -2.00e-3 0.0115 0.0274 0.0377 0.170 0.375 0.378 GLD 65.1 -0.0082 -0.0142
6 2007-05-18 20.8 SPY 153. 8.70e-3 0.0117 0.0366 0.0473 0.203 0.399 0.383 GLD 65.5 0.0071 -0.014
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
